Thanks, that sorted it when using print preview, but when printing directly it still appeared.
On searching into this some people stated you have to use SendMessage API to close the window, but this did not work and I believe they intercept that now and ignore it.
However, I did manage to remove it by using a background worker process (started just before calling print) which looped around looking for the 'Generating Previews' window, then moved it off screen and closed the background worker.
Its not ideal but it works for me!